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Dingo,
The only thing I have challenged of Dimitris is the period he wants
to optimize over to use on a go forward basis and the only reason I
challenge it is for the benefit of those who lurk here and IMHO can
maybe too easilly pick up very simple ideas about what works and what
doesn't that are not in their complete context. Dimitris and others
may very well be extremely talented and successfull traders
regardless of the methodology they use, but the methodology they use
is NOT just as simple as running a DEMA on this stock and trading
that stock with it and as such the un-initiated need to understand
the difference. I challenged lots of folks with the same types of
questions and arguments in the late 90's NOT because I KNEW that the
market was going to turn south but because like Herman I knew that
sooner or later it would unlike those who were continually purporting
the ideas of "the new economy" where bear markets had become a thing
of the past and as a result never tested their systems through tough
times went rushing madly along like so many lemmings to the sea
following the latest pied piper with some great new system that
worked well over a relatively short period of time in a one sided
market environment. I think it at best dangerous to post system
results based on short sighted scenarios like this when the authors
of systems like this know all too well that they use a dozen other
criteria which exist only between there ears.
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> I don't think you guys realize it but from what Iv'e been reading
you
> agree more than you disagree. Fred, listen to what guys like
Dimitris
> and Jason are saying. They are telling you that that they do have a
> "system" but it is not just one formula that they run on their
computers
> like the one you displayed in the last week or so. That was as
nice as
> any I've ever heard of and had some very pretty graphs and I would
> aspire to have something like that as I am sure most anyone here
would.
> But what do we do if we don't have something like that? Give up
and go
> work at McDonald's because it doesn't fit your deifintion
of "Robust"?
> Should we not trade because our equity curve doesn't have the right
> slope and way too many big yellow triangles? Should we back off
because
> we didn't' optimize over the periods you think are proper?
>
>
>
> Dimitris, Jason and others that are out there on the firing lines
MAKING
> MONEY on a consistent basis have a number of different pieces that
form
> a "system" to do the things necessary to "MAKE MONEY on a consistent
> basis". For me that's the definition of "Robust"!!
>
>
>
> They also post a lot of code and examples of what they are thinking
> about and working with rather than the philosophy of system design.
Your
> contribution has been different and thought provoking in its own
way.
> The formula you provided for the equity calculation as excellent and
> most appreciated by me at least. And I really enjoy the discussions
> you've provoked on how optimizations should be done.
>
>
>
> BUT you seem to be at odds with Dimitris most of the time and want
to
> challenge him on his methods. I think you ought to relax and just
let
> him do his thing. He's bright enough to understand what you have
been
> telling him and in his own way he's been telling you that he does.
HIS
> main interest is in presenting new ideas to us on the use of the AFL
> language and developing indicators that work in the time frame that
he's
> chosen.
>
>
>
> So rather than try to butt heads with Dimitris I for one would
really
> like for you to discuss how you have developed/assembled or however
you
> did it to get to your "robust" system. How about it?
>
>
>
> Respectfully,
>
>
>
> d
>
>
>
>
>
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Wednesday, February 19, 2003 9:11 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
>
>
> I am curious as to what others think about this ?
>
> Yuki ? Dingo ? Herman ? Jayson ? Grahm ? Others ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS
<TSOKAKIS@xxxx>"
> <TSOKAKIS@xxxx> wrote:
> > Fred,
> > thank you for the interesting question.
> > As I have already replied, the market will not change by an
> overnight
> > switch.
> > And, there is a more important question : Is there ANY reason for
> the
> > market to change ?
> > 99 period was there, it is a dream [or a nightmare...] and almost
> > impossible to be repeated.
> > I try with various methods to immitate the market behavior and
> apply
> > it for the near future.
> > If the market profile would change, MANY Breath Indicators will
> give
> > CLEAR warnings and I will check very carefully to confirm them.
> > The most recent example was last October, when my RSIt reacted at
> > relatively high levels [this is the way the market will leave
> behind
> > its bearish mood]
> > The last month, instead of a confirmation, I have to dissappoint
> you,
> > nothing hapened, may be the next time !!
> > So, instead of being affraid of an [unrealistic, for me] bullish
> > expansion, I prefer to FOLLOW the market without prejudice.
> > The market is bearish and will remain bearish for a long time. We
> > will have some good bullish trends two or three per year [and it
it
> > good to be there !!!] and then back to basics [or lower].
> > Frankly speaking, the pre-2000 period does not exist for me and
any
> > research of mine.
> > Of course, this is nothing but a personal opinion.
> > Dimitris
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred <fctonetti@xxxx>"
> > <fctonetti@xxxx> wrote:
> > > DT,
> > >
> > > I keep asking the same question with regards to your posts like
> > this,
> > > but I don't think they're reaching your mailbox.
> > >
> > > Why have you picked 1/2000 as the date to optimize forward
> from ?
> > > Don't you think this is somewhat dangerous to optimize since
> > slightly
> > > before the beginning of the current bear market as many traders
> > would
> > > have after the fact found it dangerous in the very late 90's to
> > > optimize over the last several years of the bull at that
time ?
> To
> > > me this is an accident waiting to happen. I don't understand
how
> > it
> > > could be otherwise.
> > >
> > > Please explain your thinking in this regard.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> > <TSOKAKIS@xxxx>
> > > wrote:
> > > > A.
> > > > I trade BEAS.
> > > > Its performance with the smoothed D-ratio5 is poor. 3/21
> winning
> > > combinations when D1=Optimize("D1",42,30,50,1); and the best
> gives
> > > > some +115% in 3 years. Nothing important for 57 dangerous
> trades.
> > > > But, BEAS may give great results, much better than +1000%
with
> a
> > > lot of systems.
> > > > B.
> > > > I do not trade TMPW and I know almost nothing about it.
> > > > For me, TMPW is a 5-D vector [O, H, L, C, V] in the wild
> > > StockMarket vector space.
> > > > TMPW is in the top10 list for D-ratio5 trading over the whole
> > N100
> > > market, according to my earlier post.
> > > > Its D-ratio5 curve gives "good" signals for the majority of
the
> > > stocks.
> > > > For D1=42, for example, it sends BEAS profits to >+1000% and
it
> > is
> > > not coincidental, since the whole market profits are +450% with
> > > > >75% profitable stocks.[It is not a holy grail, it is a real
> > > fighter, you should take all the risk to trade it, but 75% is a
> > > respectable percentage]
> > > > C.
> > > > I "borrowed" TMPW clear Buy signal on Valentines day, Feb14
to
> > Buy
> > > BEAS [and CSCO] on the next bar Open.
> > > > The Open was cool, the day was great, some cables traffic 15
> min
> > > before the end [life is not as easy as backtesting] plus my
broker
> > > > advise to sell tomorrow, but the sell order was an order, it
> was
> > a
> > > clear take-the-money-and-run session, the system will make its
> own
> > > profits,
> > > > statistics is an additive science [linear or not].
> > > > CSCO will pay the expenses, BEAS will pay the research, I
> should
> > > learn something for TMPW, perhaps it is a great company.
> > > > D.
> > > > I will refill my hot coffee and try to understand what I was
> > doing
> > > yesterday.
> > > > Dimitris Tsokakis
> > > > PS. In the case you are interested, optimize your favorite
> stocks
> > > or the whole market with
> > > > /*The transcendental use of Data for D-ratio5 indicator
> > > > by D. Tsokakis, Feb 2003
> > > > Optimize the "current" stock or the whole group/sector/market
> > from
> > > Jan2000 till now*/
> > > > NUM=Optimize("NUM",93,0,100,1);
> > > > D1=Optimize("D1",42,30,50,1);
> > > > N=
> > > >
> > > > WriteIf(NUM==0,"^NDX",
> > > >
> > > > WriteIf(NUM==1,"AAPL",
> > > >
> > > > WriteIf(NUM==2,"ADBE",
> > > >
> > > > WriteIf(NUM==3,"ADCT",
> > > >
> > > > WriteIf(NUM==4,"ALTR",
> > > >
> > > > WriteIf(NUM==5,"AMAT",
> > > >
> > > > WriteIf(NUM==6,"AMGN",
> > > >
> > > > WriteIf(NUM==7,"AMZN",
> > > >
> > > > WriteIf(NUM==8,"APCC",
> > > >
> > > > WriteIf(NUM==9,"APOL",
> > > >
> > > > WriteIf(NUM==10,"BBBY",
> > > >
> > > > WriteIf(NUM==11,"BEAS",
> > > >
> > > > WriteIf(NUM==12,"BGEN",
> > > >
> > > > WriteIf(NUM==13,"BMET",
> > > >
> > > > WriteIf(NUM==14,"BRCD",
> > > >
> > > > WriteIf(NUM==15,"BRCM",
> > > >
> > > > WriteIf(NUM==16,"CDWC",
> > > >
> > > > WriteIf(NUM==17,"CEPH",
> > > >
> > > > WriteIf(NUM==18,"CHIR",
> > > >
> > > > WriteIf(NUM==19,"CHKP",
> > > >
> > > > WriteIf(NUM==20,"CHRW",
> > > >
> > > > WriteIf(NUM==21,"CIEN",
> > > >
> > > > WriteIf(NUM==22,"CMCSA",
> > > >
> > > > WriteIf(NUM==23,"CMVT",
> > > >
> > > > WriteIf(NUM==24,"COST",
> > > >
> > > > WriteIf(NUM==25,"CPWR",
> > > >
> > > > WriteIf(NUM==26,"CSCO",
> > > >
> > > > WriteIf(NUM==27,"CTAS",
> > > >
> > > > WriteIf(NUM==28,"CTXS",
> > > >
> > > > WriteIf(NUM==29,"DELL",
> > > >
> > > > WriteIf(NUM==30,"DISH",
> > > >
> > > > WriteIf(NUM==31,"DLTR",
> > > >
> > > > WriteIf(NUM==32,"EBAY",
> > > >
> > > > WriteIf(NUM==33,"ERICY",
> > > >
> > > > WriteIf(NUM==34,"ERTS",
> > > >
> > > > WriteIf(NUM==35,"ESRX",
> > > >
> > > > WriteIf(NUM==36,"EXPD",
> > > >
> > > > WriteIf(NUM==37,"FAST",
> > > >
> > > > WriteIf(NUM==38,"FHCC",
> > > >
> > > > WriteIf(NUM==39,"FISV",
> > > >
> > > > WriteIf(NUM==40,"FLEX",
> > > >
> > > > WriteIf(NUM==41,"GENZ",
> > > >
> > > > WriteIf(NUM==42,"GILD",
> > > >
> > > > WriteIf(NUM==43,"GNTX",
> > > >
> > > > WriteIf(NUM==44,"HGSI",
> > > >
> > > > WriteIf(NUM==45,"HSIC",
> > > >
> > > > WriteIf(NUM==46,"ICOS",
> > > >
> > > > WriteIf(NUM==47,"IDPH",
> > > >
> > > > WriteIf(NUM==48,"INTC",
> > > >
> > > > WriteIf(NUM==49,"INTU",
> > > >
> > > > WriteIf(NUM==50,"IVGN",
> > > >
> > > > WriteIf(NUM==51,"JDSU",
> > > >
> > > > WriteIf(NUM==52,"JNPR",
> > > >
> > > > WriteIf(NUM==53,"KLAC",
> > > >
> > > > WriteIf(NUM==54,"LAMR",
> > > >
> > > > WriteIf(NUM==55,"LLTC",
> > > >
> > > > WriteIf(NUM==56,"LNCR",
> > > >
> > > > WriteIf(NUM==57,"MCHP",
> > > >
> > > > WriteIf(NUM==58,"MEDI",
> > > >
> > > > WriteIf(NUM==59,"MERQ",
> > > >
> > > > WriteIf(NUM==60,"MLNM",
> > > >
> > > > WriteIf(NUM==61,"MOLX",
> > > >
> > > > WriteIf(NUM==62,"MSFT",
> > > >
> > > > WriteIf(NUM==63,"MXIM",
> > > >
> > > > WriteIf(NUM==64,"NTAP",
> > > >
> > > > WriteIf(NUM==65,"NVDA",
> > > >
> > > > WriteIf(NUM==66,"NVLS",
> > > >
> > > > WriteIf(NUM==67,"NXTL",
> > > >
> > > > WriteIf(NUM==68,"ORCL",
> > > >
> > > > WriteIf(NUM==69,"PAYX",
> > > >
> > > > WriteIf(NUM==70,"PCAR",
> > > >
> > > > WriteIf(NUM==71,"PDCO",
> > > >
> > > > WriteIf(NUM==72,"PETM",
> > > >
> > > > WriteIf(NUM==73,"PIXR",
> > > >
> > > > WriteIf(NUM==74,"PSFT",
> > > >
> > > > WriteIf(NUM==75,"PTEN",
> > > >
> > > > WriteIf(NUM==76,"QCOM",
> > > >
> > > > WriteIf(NUM==77,"QLGC",
> > > >
> > > > WriteIf(NUM==78,"RFMD",
> > > >
> > > > WriteIf(NUM==79,"ROST",
> > > >
> > > > WriteIf(NUM==80,"RYAAY",
> > > >
> > > > WriteIf(NUM==81,"SANM",
> > > >
> > > > WriteIf(NUM==82,"SBUX",
> > > >
> > > > WriteIf(NUM==83,"SEBL",
> > > >
> > > > WriteIf(NUM==84,"SIAL",
> > > >
> > > > WriteIf(NUM==85,"SNPS",
> > > >
> > > > WriteIf(NUM==86,"SPLS",
> > > >
> > > > WriteIf(NUM==87,"SPOT",
> > > >
> > > > WriteIf(NUM==88,"SSCC",
> > > >
> > > > WriteIf(NUM==89,"SUNW",
> > > >
> > > > WriteIf(NUM==90,"SYMC",
> > > >
> > > > WriteIf(NUM==91,"TEVA",
> > > >
> > > > WriteIf(NUM==92,"TLAB",
> > > >
> > > > WriteIf(NUM==93,"TMPW",
> > > >
> > > > WriteIf(NUM==94,"USAI",
> > > >
> > > > WriteIf(NUM==95,"VRSN",
> > > >
> > > > WriteIf(NUM==96,"VRTS",
> > > >
> > > > WriteIf(NUM==97,"WFMI",
> > > >
> > > > WriteIf(NUM==98,"XLNX",
> > > >
> > > > WriteIf
> > >
> >
>
(NUM==99,"XRAY","YHOO"))))))))))))))))))))))))))))))))))))))))))))))))
> > > ))))))))))))))))))))))))))))))))))))))))))))))))))));
> > > >
> > > > H=Foreign(N,"H");L=Foreign(N,"L");
> > > > Dratio=1000*(H-L)/(H+L);RRR=DEMA(Dratio,5);RRRR=DEMA(RRR,10);
> > > > D2=D1;
> > > > F1=RRRR>=D2;F2=RRRR<=D1;
> > > > Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> > > > Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem
> > > (Cover,Short);
> > > >
> > > > I think I will repeat the experiment...
>
>
>
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